做市商制度促进股票流动性了吗?——来自新三板市场的证据Does Market Making Mode Improve Stock Liquidity?——Evidence from China NEEQ Exchange
赵崇博,刘冲,钱留杰
摘要(Abstract)：
本文以2014年8月新三板引入做市商制度为拟自然实验,结合2014—2017年新三板挂牌公司数据,采用双重差分法检验了交易方式转变对股票流动性的影响。研究发现,从交易笔数、交易规模、换手率、价格冲击指标和价差等多个维度看,交易方式由协议转让转变为做市转让,均能显著提升公司股票流动性。上述结论在交易数据剔除大宗交易订单后依然稳健。进一步异质性分析表明,在交易方式转变后,初始流动性越差,公司股票流动性提升越明显;主办券商获取库存股的折价率越低,股票流动性提升也越明显。从机制角度分析,做市商制度一方面通过提升个人投资者的活跃度,提升了做市企业的流动性;另一方面通过缓解价格波动,稳定市场价格,带来流动性的改善。
关键词(KeyWords)： 做市转让;协议转让;做市商;股票流动性;大宗交易
基金项目(Foundation):
作者(Author): 赵崇博,刘冲,钱留杰
DOI: 10.16513/j.cnki.cje.20191226.004
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- (1)在2.3一节中,我们会详细说明剔除“一对一”大宗交易订单的原因。
- (1)我们选取了企业做市前一年的平均市净率、波动性、总负债等一系列指标进行回归,限于篇幅,我们省略了一阶段的回归结果。
- (1)流动性指标定义时剔除了大宗交易订单。